# Risk sensitive optimal stopping

arXiv: https://arxiv.org/abs/1912.02486 · HTML: https://mlsanity.com/paper/1912.02486/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Dec 2019.

## Built on by (most cited first, 1 of 1)

- [Local Search with Correlated Randomness](https://mlsanity.com/paper/2607.17469/) (2026)

## Abstract (arXiv)

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula for the optimal stopping policy. Next, we show how to link continuous time framework with its discrete time analogue. By considering suitable approximations, we obtain uniform convergence of the corresponding value functions.